Breathwork is an increasingly popular experiential approach to psychotherapy based on the use of a specific breathing technique, however, claims of positive mental health outcomes rely on anecdotal clinical evidence. To ascertain the likely efficacy of breathwork this review clarifies the approach and its theoretical assumptions and examines relevant empirical research relating to breathing inhibition, suppression of inner experience, and possible neurological and physiological effects. Additionally, research into mindfulness-based psychotherapy and yoga breathing-based interventions with comparable features to breathwork are examined. Findings suggest qualified support for the key theoretical assumptions of a three component breathwork model, referred to as Integrative Breathwork Therapy (IBT), and its possible utility in the treatment of anxiety and depression. Further research aimed at exploring specific efficacy of this approach for these disorders may yield a useful additional treatment option utilising a different process of change to existing treatments.